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Articles 1 - 8 of 8
Full-Text Articles in Finance and Financial Management
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Endogenous Market Choice, Listing Regulations, And Ipo Spread: Evidence From The London Stock Exchange, Hafiz Hoque, John Doukas
Finance Faculty Publications
This study examines the endogenous market choice and its impact on underwriter spread if Alternative Investment Market (AIM) IPOs that meet Main Market (MM) listing requirements had issued equity in the MM during the 1995–2021 period. We find that the spread is 1.33% higher in the AIM than the MM for IPO listings that meet the MM listing requirements. This finding suggests that AIM companies, meeting the MM listing requirements, could have saved more than £100 million by going public through the MM than the AIM market. We also find that this spread differential is attributed to the issuing firms' …
How Large Are The Benefits Of Emerging Market Equities?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson
How Large Are The Benefits Of Emerging Market Equities?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson
Finance Faculty Publications
We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return distributions; 3) separates emerging markets by region; and 4) considers the influence that the market environment has on the benefits of emerging market investments. Our results suggest that previous research has understated the benefits associated with investing in emerging markets. We find that broad emerging market indices have relatively low downside risk, which results in Sortino ratios …
A Simple Model Of Interest Rate Term Structure, Tom Arnold
A Simple Model Of Interest Rate Term Structure, Tom Arnold
Finance Faculty Publications
Without much technical expertise, a yield curve model is presented that is very dynamic and can be easily programmed in Excel for classroom presentation or for assignments. By using the output of the model to have students find embedded rates within the yield curve, a discussion of how bond traders speculate on interest rates emerges very easily. Further, the model output can also be used for numerous exercises including the pricing of strips or for evaluating the positions of an entire bond portfolio. Within the exercises, the dynamic nature of the model can be exploited to provide sensitivity analysis.
The Relationship Between The Value Effect And Industry Affiliation, John C. Banko, C. Mitchell Conover, Gerald R. Jensen
The Relationship Between The Value Effect And Industry Affiliation, John C. Banko, C. Mitchell Conover, Gerald R. Jensen
Finance Faculty Publications
We examine industry affiliation and the relationship between stock returns and book‐to‐market equity (the value effect). The robustness of the value effect is supported as a significant value premium is shown to exist in 15 of 21 industries. Both industry and firm‐level value effects are identified; however, the firm‐level effect is the more prominent of the two. Further, the value effect is shown to be strongest in value industries and weakest in growth industries. Finally, we show evidence consistent with the claim that the value premium is due to investors requiring higher returns from firms in distressed conditions.
Is Fed Policy Still Relevant For Investors?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer
Is Fed Policy Still Relevant For Investors?, C. Mitchell Conover, Gerald R. Jensen, Robert R. Johnson, Jeffrey M. Mercer
Finance Faculty Publications
Using 38 years of data, we show that U.S. monetary policy has had, and continues to have, a strong relationship with security returns. Specifically, we find that U.S. stock returns are consistently higher and less volatile during periods when the Federal Reserve is following an expansive monetary policy. Further, firms considered to be more sensitive to changes in monetary conditions, such as small firms and cyclicals, exhibit monetary-policy-related return patterns that are much more pronounced than average. Lastly, the influence of U.S. monetary policy is shown to be a global phenomenon, as international indices have return patterns similar to those …
Diversification Benefits From Foreign Real Estate Investment, C. Mitchell Conover, H. Swint Friday, G. Stacy Sirmans
Diversification Benefits From Foreign Real Estate Investment, C. Mitchell Conover, H. Swint Friday, G. Stacy Sirmans
Finance Faculty Publications
Previous research has questioned the stability of international equity diversification. This study examines whether foreign real estate exists in a more segmented market and whether foreign real estate provides any diversification benefit beyond that obtainable from foreign stocks. Using data encompassing the stock market crash of 1987, foreign real estate was found to have a lower correlation with U.S. stocks than foreign stocks. This lower correlation is shown to be stable through time as foreign real estate has a lower correlation in nearly the entire time period. Foreign real estate was also found to have a significant weight in efficient …
An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
An Analysis Of The Cross Section Of Returns For Ereits Using A Varying-Risk Beta Model, C. Mitchell Conover, H. Swint Friday, Shelly W. Howton
Finance Faculty Publications
A dual-beta asset pricing model is employed to examine the cross-section of realized equity real estate investment trust (EREIT) returns over bull and bear markets. No significant relationship is found between EREIT returns and a constant beta. However, beta explains cross-sectional returns when betas are allowed to vary across bull markets. This positive relationship exists for both January and non-January months. During bear-market months, no significant relationship is found between REIT betas and returns. But, during such months, size and book-to-market ratio are found to be negatively related to returns.
How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover
How Much Is Purchasing Power Parity Worth?, Stefan C. Norrbin, C. Mitchell Conover
Finance Faculty Publications
Updating Bilson 's (1984) investment strategy using an out-of-sample forecast procedure, we find much smaller profits from a trading strategy based on purchasing power parity. Though the total profit is significant at a 5 percent level, it is substantially lower than what Bilson found. Our results suggest Bilson's excess profits are due to the sample of data used and the in-sample nature of the tests. Hence, this paper demonstrates that the simple investment strategy leads to the same conclusion that econometric testing does; namely, that purchasing power parity is only marginally useful in forecasting exchange rates.